[R] RE: [S] VIF Variance Inflation Factor

[kjetil halvorsen]

There is a vif() function in the car package.

Kjetil Halvorsen

Bill.Venables at CMIS.CSIRO.AU wrote:
> 
> Kenneth Cabrera asks:
> 
> >  -----Original Message-----
> > From:         Kenneth Cabrera [mailto:krcabrer at epm.net.co]
> > Sent: Tuesday, October 22, 2002 10:05 AM
> > Cc:   s-news at lists.biostat.wustl.edu
> > Subject:      [S] VIF Variance Inflation Factor
> >
> > Hi Dear S+ Users:
> >
> > How can I obtain the VIF of a lm object?
>         [WNV]  this comes up every now and then and I suppose it has been
> answered dozens of times, but here is a simple version of a generic function
> that people might find useful (and may consider adding methods to)
> 
> vif <- function(object, ...)
> UseMethod("vif")
> 
> vif.default <- function(object, ...)
> stop("No default method for vif.  Sorry.")
> 
> vif.lm <- function(object, ...) {
>   V <- summary(object)$cov.unscaled
>   Vi <- crossprod(model.matrix(object))
>         nam <- names(coef(object))
>   if(k <- match("(Intercept)", nam, nomatch = F)) {
>                 v1 <- diag(V)[-k]
>                 v2 <- (diag(Vi)[-k] - Vi[k, -k]^2/Vi[k,k])
>                 nam <- nam[-k]
>         } else {
>                 v1 <- diag(V)
>                 v2 <- diag(Vi)
>                 warning("No intercept term detected.  Results may
> surprise.")
>         }
>         structure(v1*v2, names = nam)
> }
> 
>         [WNV]  use in the obvious way.  (Works in both S universes.)
> 
>         > fm <- lm(Gas ~ Insul/Temp, whiteside)
>         > vif(fm)
>           Insul InsulBeforeTemp InsulAfterTemp
>          4.3299        2.932245       2.397654
>         > fm <- lm(Gas ~ Insul + Temp, whiteside)
>         > vif(fm)
>             Insul     Temp
>          1.027048 1.027048
>         > fm <- lm(Gas ~ Temp, whiteside)
>         > vif(fm)
>          Temp
>             1
>         >
> 
> > Thank you for your help!
> >
> > Kenneth Cabrera
> >
> > --------------------------------------------------------------------
> > This message was distributed by s-news at lists.biostat.wustl.edu.  To
> > ....

> 
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